Wayne E. Ferson
Department of Finance
and Business Economics
University of Southern California
3670 Trousdale Parkway Suite 308
Los Angeles, CA 90089-0804
NBER Program Affiliations:
NBER Affiliation: Research Associate
Institutional Affiliation: University of Southern California
Information about this author at RePEc
NBER Working Papers and Publications
|August 2013||Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity|
with : w19349
Published: WAYNE FERSON & JERCHERN LIN, 2014. "Alpha and Performance Measurement: The Effects of Investor Disagreement and Heterogeneity," The Journal of Finance, vol 69(4), pages 1565-1596.
|February 2012||The "Out of Sample" Performance of Long-run Risk Models|
with , : w17848
Published: "The 'out of sample' Performance of Long-run Risk Models," with Biqin Xie and Suresh Nallareddy, 2013, Journal of Financial Economics 107 (3) 537-556.
|September 2009||Measuring the Timing Ability and Performance of Bond Mutual Funds|
with , : w15318
Published: "Measuring the Timing Ability and Performance of Bond Mutual Funds," with Yong Chen and Helen Peters, 2010, Journal of Financial Economics 98(1), 72-89.
|October 2006||Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression|
with , : w12658
Published: Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008.
"Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 43(02), pages 331-353, June.
citation courtesy of
|March 2006||Testing Portfolio Efficiency with Conditioning Information|
with : w12098
"Testing Portfolio Efficiency with Conditioning Information," with Andrew F. Siegel, 2009, Review of Financial Studies (forthcoming).
|January 2005||Mimicking Portfolios with Conditioning Information|
with , Pisun (Tracy) Xu: w11020
Published: Ferson, Wayne, Andrew F. Siegel and Pisun Xu. "Mimicking Portfolios With Conditional Information," Journal of Financial and Quantitative Analysis, 2006, v41(3,Sep), 607-635.
|Weak and Semi-Strong Form Stock Return Predictability Revisited|
with , : w11021
Published: Ferson, Wayne, Andrea Heuson and Tie Su. "Weak and Semi-strong Form Stock Return Predictability Revisited." Management Science 51 (2005): 1582-1592.
|August 2004||Weak and Semi-Strong Form Stock Return Predictability, Revisited|
with , Tie Su: w10689
Published: Ferson, Wayne E., Andrea Heuson and Tie Su. "Weak and Semi-strong Form Stock Return Predictability Revisited." Management Science 51 (2005): 1582-1592.
|January 2003||Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance|
Published: Constantinides, G.M., M. Harris, and R.M. Stulz. Handbook of the Economics of Finance: Financial Markets and Asset Pricing Volume 1B. North Holland, 2003.
|September 2002||Spurious Regressions in Financial Economics?|
with , : w9143
Published: Ferson, Wayne, Timothy Simin, and Sergei Sarkissian. "Spurious regressions in Financial Economics?" Journal of Finance 58 (August 2003): 1393-1414. citation courtesy of
|February 2002||Stochastic Discount Factor Bounds with Conditioning Information|
with : w8789
Published: Ferson, Wayne E. and Andrew F. Siegel. "Stochastic Discount Factor Bounds With Conditioning Information," Review of Financial Studies, 2003, v16(2,Summer), 567-595. citation courtesy of
|Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds|
with Kenneth Khang: w8790
Published: Ferson, Wayne and Kenneth Khang. "Conditional Performance Measurement Using Portfolio Weights: Evidence For Pension Funds," Journal of Financial Economics, 2002, v65(2,Aug), 249-282.
|Performance Evaluation with Stochastic Discount Factors|
with Heber Farnsworth, , : w8791
Published: Farnsworth, Heber, Wayne Ferson, David Jackson and Steven Todd. "Performance Evaluation With Stochastic Discount Factors," Journal of Business, 2002, v75(3,Jul), 473-503.
|March 1999||Conditioning Variables and the Cross-Section of Stock Returns|
with : w7009
Published: Journal of Finance, Vol. 54 (1999): 1325-1360. citation courtesy of
|February 1999||Economic, Financial, and Fundamental Global Risk In and Out of the EMU|
with : w6967
Published: Swedish Economic Policy Review, Vol. 6 (1999): 123-184.
|February 1998||Conditional Market Timing with Benchmark Investors|
with Connie Becker, David Myers, Michael Schill: w6434
Published: Journal of Financial Economics, Vol. 52, no. 1 (April 1999): 119-148.
|December 1996||Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing|
with : w5860
Published: Journal of Banking and Finance, Vol. 21 (1997): 1625-1665. citation courtesy of
|November 1996||Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance|
with Jon A. Christopherson, Debra A. Glassman: w5830
Published: Review of Financial Studies, 1998, Volume 11, Number 1 Pp. 111-142 citation courtesy of
|January 1994||Sources of Risk and Expected Returns in Global Equity Markets|
with : w4622
Published: Journal of Banking and Finance, 1994, pp. 775-803 citation courtesy of
|An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns|
in The Internationalization of Equity Markets , Jeffrey A. Frankel, editor
|December 1993||An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns|
with : w4595
Published: The Internationalization of Equity Markets, Jeffrey A. Frankel, ed., pp. 59-138, (Chicago: University of Chicago Press: 1994).
|June 1992||Time Nonseparability in Aggregate Consumption: International Evidence|
with , : w4104
Published: European Economic Review, Vol. 37, no. 5 (1993): 897-920. citation courtesy of
|February 1991||Habit Persistence and Durability in Aggregate Consumption: Empirical Tests|
with : w3631
Published: Journal of Financial Economics, Vol. 29, No. 2, pp. 199-240, (October 1991) citation courtesy of